Published on 7/24/2012 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $765,000 capped knock-out notes linked to S&P 500
By Toni Weeks
San Diego, July 24 - Credit Suisse AG, Nassau Branch priced $765,000 of 0% capped knock-out notes due Aug. 7, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than 21.55% from the initial level during the life of the notes.
If a knock-out event does not occur, the payout at maturity will be par plus the 10% fixed payment percentage, or $1,100 per $1,000 principal amount of notes.
If a knock-out event occurs, the payout at maturity will be par plus the index return, subject to a maximum return of 10%.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
Issuer: | Credit Suisse AG, Nassau Branch
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Issue: | Capped knock-out notes
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Underlying index: | S&P 500
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Amount: | $765,000
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Maturity: | Aug. 7, 2013
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index falls by more than 21.55% from initial level during life of notes, par plus index return, subject to maximum return of 10%; otherwise, par plus 10% fixed payment percentage
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Initial level: | 1,362.66
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Knock-out level: | 1,069.00677, 78.45% of initial level
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Pricing date: | July 20
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Settlement date: | July 27
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Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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Fees: | 1%
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Cusip: | 22546TWN7
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